Testing for equality between two copulas
نویسندگان
چکیده
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine. 2000 Mathematics Subject Classification. Primary 60F05; Secondary 62E20.
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عنوان ژورنال:
- J. Multivariate Analysis
دوره 100 شماره
صفحات -
تاریخ انتشار 2009